Martingale Convergence Theorem Natural & Formal Sciences Dictionary Definition A result stating that a martingale sequence (with respect to a given filtration) that is uniformly integrable or bounded in L^1 converges almost surely and in L^1 to a limiting random variable measurable with respect to the terminal σ-algebra.
Martingale Convergence Theorem Natural & Formal Sciences Dictionary Definition A result stating that a martingale sequence (with respect to a given filtration) that is uniformly integrable or bounded in L^1 converges almost surely and in L^1 to a limiting random variable measurable with respect to the terminal σ-algebra.